Depends on the ability of the characters. I tend to like speed more than power. So often, I'd favor a girl. For example, the first char I used to beat Iron Ox in Devil Kings hard mode was Lady Butterfly; the first one I used to complete all 100 floors in Onimusha: DoD was Akane. Many DMC fans dislike DMC2, but I like it because of Lucia.

But there's one genre where I would prefer female character much much more. That'd be survival horror.

Depends on the type of game. I'll generally play with the character I find suits myself the most but in a lot of cases it'll be a female character. For example on Guilty Gear I'll play as Jam, a female, because she's the character I fight most effeciently, the same goes for Kohaku on Melty Blood with where else on Dynasty Warriors I'll play as Ma Chao because I'm more efficient with him. If it's a game in which being a male or female character doesn't matter then I'll generally make/use a female character, especially on MMOs either because they look a hell of a lot cooler or I can use them to my advantage, an example being that I get PKed or verbally abused a hell of a lot less on my female character than I do on my male character on Conquer Online.